RightPairs Calculator
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RightPairs Calculator for Pair Trades

Statistical arbitrage calculator. This Excel file does the following steps:

  1. Download 3 months daily closing data from Yahoo!Finance
  2. Calculates regression lines
  3. Calculates distance to the regression lines for each point, and standard deviation of these distances
  4. Calculate current distance


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RightPairs Calculator (Excel)
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RightPairs Calculator using orthogonal regression lines to determine the NORMAL relationship between two stocks.



File size 142 K
Downloads 81
Date Fri 04/24/2009 @ 10:24
Author Alvin Cho
EMail alvincho@jumbosoft.com
    

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